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Numerical and Statistical Approximation of Stochastic Differential Equations with Non-Gaussian Measures

Author

Listed:
  • Aleksander Janicki

Abstract

This monograph is based on methods and numerical tools from such fields as theory of stochastic differential equations (SDEs), stochastic modeling in computational physics, engineering and mathematical finance, statistical estimation methods, and Monte-Carlo type approximations.

Suggested Citation

  • Aleksander Janicki, 1996. "Numerical and Statistical Approximation of Stochastic Differential Equations with Non-Gaussian Measures," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook9601, December.
    • Handle: RePEc:wuu:hsbook:hsbook9601
    Note: Published by HSC (www.im.pwr.wroc.pl/~hugo)
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hsbook/HSBook9601.pdf
    File Function: Preface and sample chapter
    Download Restriction: no
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    Citations

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    Cited by:

    1. Krzysztof Szczepaniec & Bartłomiej Dybiec, 2013. "Non-Gaussian, non-dynamical stochastic resonance," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(11), pages 1-6, November.
    2. Raoul Mbakob Yonkeu & René Yamapi & Giovanni Filatrella & Jürgen Kurths, 2020. "Can Lévy noise induce coherence and stochastic resonances in a birhythmic van der Pol system?," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 93(8), pages 1-14, August.
    3. Yonkeu, R. Mbakob, 2023. "Stochastic bifurcations induced by Lévy noise in a fractional trirhythmic van der Pol system," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
    4. Abdel-Rehim EA, 2017. "The Continuous Time Random Walk and the Finite Difference Method for the Space Time Fractional Diffusion Equations," Biostatistics and Biometrics Open Access Journal, Juniper Publishers Inc., vol. 3(3), pages 76-84, October.
    5. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1, July-Dece.
    6. Bartłomiej Dybiec & Krzysztof Szczepaniec, 2015. "Escape from hypercube driven by multi-variate α-stable noises: role of independence," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(7), pages 1-8, July.
    7. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2007, January-A.
    8. Gorenflo, Rudolf & Mainardi, Francesco & Vivoli, Alessandro, 2007. "Continuous-time random walk and parametric subordination in fractional diffusion," Chaos, Solitons & Fractals, Elsevier, vol. 34(1), pages 87-103.
    9. Mbakob Yonkeu, R. & David, Afungchui, 2022. "Coherence and stochastic resonance in the fractional-birhythmic self-sustained system subjected to fractional time-delay feedback and Lévy noise," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).

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